---------------------------------------------------------------------------------------------------------------
Augmented Dickey-Fuller Unit Root Tests of Table 3

. dfuller can, lags(4)

Augmented Dickey-Fuller test for unit root         Number of obs   =       158

                               ---------- Interpolated Dickey-Fuller ---------
                  Test         1% Critical       5% Critical      10% Critical
               Statistic           Value             Value             Value
------------------------------------------------------------------------------
 Z(t)             -1.115            -3.491            -2.886            -2.576
------------------------------------------------------------------------------
MacKinnon approximate p-value for Z(t) = 0.7092

. 
. dfuller D.can, lags(4)

Augmented Dickey-Fuller test for unit root         Number of obs   =       157

                               ---------- Interpolated Dickey-Fuller ---------
                  Test         1% Critical       5% Critical      10% Critical
               Statistic           Value             Value             Value
------------------------------------------------------------------------------
 Z(t)             -4.894            -3.491            -2.886            -2.576
------------------------------------------------------------------------------
MacKinnon approximate p-value for Z(t) = 0.0000

. 
. dfuller france, lags(4)

Augmented Dickey-Fuller test for unit root         Number of obs   =       158

                               ---------- Interpolated Dickey-Fuller ---------
                  Test         1% Critical       5% Critical      10% Critical
               Statistic           Value             Value             Value
------------------------------------------------------------------------------
 Z(t)             -1.714            -3.491            -2.886            -2.576
------------------------------------------------------------------------------
MacKinnon approximate p-value for Z(t) = 0.4238

. 
. dfuller D.france, lags(4)

Augmented Dickey-Fuller test for unit root         Number of obs   =       157

                               ---------- Interpolated Dickey-Fuller ---------
                  Test         1% Critical       5% Critical      10% Critical
               Statistic           Value             Value             Value
------------------------------------------------------------------------------
 Z(t)             -4.571            -3.491            -2.886            -2.576
------------------------------------------------------------------------------
MacKinnon approximate p-value for Z(t) = 0.0001

. 
. dfuller germ, lags(4)

Augmented Dickey-Fuller test for unit root         Number of obs   =       158

                               ---------- Interpolated Dickey-Fuller ---------
                  Test         1% Critical       5% Critical      10% Critical
               Statistic           Value             Value             Value
------------------------------------------------------------------------------
 Z(t)             -0.934            -3.491            -2.886            -2.576
------------------------------------------------------------------------------
MacKinnon approximate p-value for Z(t) = 0.7766

. 
. dfuller D.germ, lags(4)

Augmented Dickey-Fuller test for unit root         Number of obs   =       157

                               ---------- Interpolated Dickey-Fuller ---------
                  Test         1% Critical       5% Critical      10% Critical
               Statistic           Value             Value             Value
------------------------------------------------------------------------------
 Z(t)             -5.038            -3.491            -2.886            -2.576
------------------------------------------------------------------------------
MacKinnon approximate p-value for Z(t) = 0.0000

. 
. dfuller italy, lags(4)

Augmented Dickey-Fuller test for unit root         Number of obs   =       158

                               ---------- Interpolated Dickey-Fuller ---------
                  Test         1% Critical       5% Critical      10% Critical
               Statistic           Value             Value             Value
------------------------------------------------------------------------------
 Z(t)             -2.388            -3.491            -2.886            -2.576
------------------------------------------------------------------------------
MacKinnon approximate p-value for Z(t) = 0.1452

. 
. dfuller D.italy, lags(4)

Augmented Dickey-Fuller test for unit root         Number of obs   =       157

                               ---------- Interpolated Dickey-Fuller ---------
                  Test         1% Critical       5% Critical      10% Critical
               Statistic           Value             Value             Value
------------------------------------------------------------------------------
 Z(t)             -4.261            -3.491            -2.886            -2.576
------------------------------------------------------------------------------
MacKinnon approximate p-value for Z(t) = 0.0005

. 
. dfuller japan,trend lags(4)

Augmented Dickey-Fuller test for unit root         Number of obs   =       158

                               ---------- Interpolated Dickey-Fuller ---------
                  Test         1% Critical       5% Critical      10% Critical
               Statistic           Value             Value             Value
------------------------------------------------------------------------------
 Z(t)             -1.806            -4.021            -3.442            -3.142
------------------------------------------------------------------------------
MacKinnon approximate p-value for Z(t) = 0.7017

. 
. dfuller D.japan,trend lags(4)

Augmented Dickey-Fuller test for unit root         Number of obs   =       157

                               ---------- Interpolated Dickey-Fuller ---------
                  Test         1% Critical       5% Critical      10% Critical
               Statistic           Value             Value             Value
------------------------------------------------------------------------------
 Z(t)             -5.437            -4.021            -3.442            -3.142
------------------------------------------------------------------------------
MacKinnon approximate p-value for Z(t) = 0.0000

. 
. dfuller uk, lags(4)

Augmented Dickey-Fuller test for unit root         Number of obs   =       158

                               ---------- Interpolated Dickey-Fuller ---------
                  Test         1% Critical       5% Critical      10% Critical
               Statistic           Value             Value             Value
------------------------------------------------------------------------------
 Z(t)             -1.581            -3.491            -2.886            -2.576
------------------------------------------------------------------------------
MacKinnon approximate p-value for Z(t) = 0.4930

. 
. dfuller D.uk, lags(4)

Augmented Dickey-Fuller test for unit root         Number of obs   =       157

                               ---------- Interpolated Dickey-Fuller ---------
                  Test         1% Critical       5% Critical      10% Critical
               Statistic           Value             Value             Value
------------------------------------------------------------------------------
 Z(t)             -4.841            -3.491            -2.886            -2.576
------------------------------------------------------------------------------
MacKinnon approximate p-value for Z(t) = 0.0000

. 
. dfuller usa, lags(4)

Augmented Dickey-Fuller test for unit root         Number of obs   =       158

                               ---------- Interpolated Dickey-Fuller ---------
                  Test         1% Critical       5% Critical      10% Critical
               Statistic           Value             Value             Value
------------------------------------------------------------------------------
 Z(t)             -1.948            -3.491            -2.886            -2.576
------------------------------------------------------------------------------
MacKinnon approximate p-value for Z(t) = 0.3098

. 
. dfuller D.usa, lags(4)

Augmented Dickey-Fuller test for unit root         Number of obs   =       157

                               ---------- Interpolated Dickey-Fuller ---------
                  Test         1% Critical       5% Critical      10% Critical
               Statistic           Value             Value             Value
------------------------------------------------------------------------------
 Z(t)             -5.368            -3.491            -2.886            -2.576
------------------------------------------------------------------------------
MacKinnon approximate p-value for Z(t) = 0.0000

. 
. dfuller china, lags(4)

Augmented Dickey-Fuller test for unit root         Number of obs   =       158

                               ---------- Interpolated Dickey-Fuller ---------
                  Test         1% Critical       5% Critical      10% Critical
               Statistic           Value             Value             Value
------------------------------------------------------------------------------
 Z(t)             -0.807            -3.491            -2.886            -2.576
------------------------------------------------------------------------------
MacKinnon approximate p-value for Z(t) = 0.8170

. 
. dfuller D.china, lags(4)

Augmented Dickey-Fuller test for unit root         Number of obs   =       157

                               ---------- Interpolated Dickey-Fuller ---------
                  Test         1% Critical       5% Critical      10% Critical
               Statistic           Value             Value             Value
------------------------------------------------------------------------------
 Z(t)             -3.539            -3.491            -2.886            -2.576
------------------------------------------------------------------------------
MacKinnon approximate p-value for Z(t) = 0.0070

Phillips-Perron Unit Root Tests of Table 3

. pperron can, lags(4)

Phillips-Perron test for unit root                 Number of obs   =       162
                                                   Newey-West lags =         4

                               ---------- Interpolated Dickey-Fuller ---------
                  Test         1% Critical       5% Critical      10% Critical
               Statistic           Value             Value             Value
------------------------------------------------------------------------------
 Z(rho)           -0.444           -20.007           -13.824           -11.083
 Z(t)             -0.964            -3.489            -2.886            -2.576
------------------------------------------------------------------------------
MacKinnon approximate p-value for Z(t) = 0.7662

. 
. pperron D.can, lags(4)

Phillips-Perron test for unit root                 Number of obs   =       161
                                                   Newey-West lags =         4

                               ---------- Interpolated Dickey-Fuller ---------
                  Test         1% Critical       5% Critical      10% Critical
               Statistic           Value             Value             Value
------------------------------------------------------------------------------
 Z(rho)          -78.840           -20.003           -13.822           -11.081
 Z(t)             -7.156            -3.490            -2.886            -2.576
------------------------------------------------------------------------------
MacKinnon approximate p-value for Z(t) = 0.0000

. 
. pperron france, lags(4)

Phillips-Perron test for unit root                 Number of obs   =       162
                                                   Newey-West lags =         4

                               ---------- Interpolated Dickey-Fuller ---------
                  Test         1% Critical       5% Critical      10% Critical
               Statistic           Value             Value             Value
------------------------------------------------------------------------------
 Z(rho)           -0.729           -20.007           -13.824           -11.083
 Z(t)             -1.626            -3.489            -2.886            -2.576
------------------------------------------------------------------------------
MacKinnon approximate p-value for Z(t) = 0.4698

. 
. pperron D.france, lags(4)

Phillips-Perron test for unit root                 Number of obs   =       161
                                                   Newey-West lags =         4

                               ---------- Interpolated Dickey-Fuller ---------
                  Test         1% Critical       5% Critical      10% Critical
               Statistic           Value             Value             Value
------------------------------------------------------------------------------
 Z(rho)         -111.370           -20.003           -13.822           -11.081
 Z(t)             -8.686            -3.490            -2.886            -2.576
------------------------------------------------------------------------------
MacKinnon approximate p-value for Z(t) = 0.0000

. 
. pperron germ, lags(4)

Phillips-Perron test for unit root                 Number of obs   =       162
                                                   Newey-West lags =         4

                               ---------- Interpolated Dickey-Fuller ---------
                  Test         1% Critical       5% Critical      10% Critical
               Statistic           Value             Value             Value
------------------------------------------------------------------------------
 Z(rho)           -0.452           -20.007           -13.824           -11.083
 Z(t)             -0.704            -3.489            -2.886            -2.576
------------------------------------------------------------------------------
MacKinnon approximate p-value for Z(t) = 0.8457

. 
. pperron D.germ, lags(4)

Phillips-Perron test for unit root                 Number of obs   =       161
                                                   Newey-West lags =         4

                               ---------- Interpolated Dickey-Fuller ---------
                  Test         1% Critical       5% Critical      10% Critical
               Statistic           Value             Value             Value
------------------------------------------------------------------------------
 Z(rho)         -165.784           -20.003           -13.822           -11.081
 Z(t)            -11.865            -3.490            -2.886            -2.576
------------------------------------------------------------------------------
MacKinnon approximate p-value for Z(t) = 0.0000


. pperron italy, lags(4) trend

Phillips-Perron test for unit root                 Number of obs   =       162
                                                   Newey-West lags =         4

                               ---------- Interpolated Dickey-Fuller ---------
                  Test         1% Critical       5% Critical      10% Critical
               Statistic           Value             Value             Value
------------------------------------------------------------------------------
 Z(rho)           -1.958           -27.813           -20.948           -17.707
 Z(t)             -1.070            -4.019            -3.442            -3.142
------------------------------------------------------------------------------
MacKinnon approximate p-value for Z(t) = 0.9339


.  pperron D.italy, lags(4) trend

Phillips-Perron test for unit root                 Number of obs   =       161
                                                   Newey-West lags =         4

                               ---------- Interpolated Dickey-Fuller ---------
                  Test         1% Critical       5% Critical      10% Critical
               Statistic           Value             Value             Value
------------------------------------------------------------------------------
 Z(rho)         -113.869           -27.807           -20.944           -17.703
 Z(t)             -9.193            -4.020            -3.442            -3.142
------------------------------------------------------------------------------
MacKinnon approximate p-value for Z(t) = 0.0000

. 
. pperron japan, lags(4)trend

Phillips-Perron test for unit root                 Number of obs   =       162
                                                   Newey-West lags =         4

                               ---------- Interpolated Dickey-Fuller ---------
                  Test         1% Critical       5% Critical      10% Critical
               Statistic           Value             Value             Value
------------------------------------------------------------------------------
 Z(rho)           -3.422           -27.813           -20.948           -17.707
 Z(t)             -1.760            -4.019            -3.442            -3.142
------------------------------------------------------------------------------
MacKinnon approximate p-value for Z(t) = 0.7237

. 
. pperron D.japan, lags(4)trend

Phillips-Perron test for unit root                 Number of obs   =       161
                                                   Newey-West lags =         4

                               ---------- Interpolated Dickey-Fuller ---------
                  Test         1% Critical       5% Critical      10% Critical
               Statistic           Value             Value             Value
------------------------------------------------------------------------------
 Z(rho)         -131.924           -27.807           -20.944           -17.703
 Z(t)            -10.235            -4.020            -3.442            -3.142
------------------------------------------------------------------------------
MacKinnon approximate p-value for Z(t) = 0.0000

. 
. pperron uk, lags(4)

Phillips-Perron test for unit root                 Number of obs   =       162
                                                   Newey-West lags =         4

                               ---------- Interpolated Dickey-Fuller ---------
                  Test         1% Critical       5% Critical      10% Critical
               Statistic           Value             Value             Value
------------------------------------------------------------------------------
 Z(rho)           -0.283           -20.007           -13.824           -11.083
 Z(t)             -0.506            -3.489            -2.886            -2.576
------------------------------------------------------------------------------
MacKinnon approximate p-value for Z(t) = 0.8908

. 
. pperron D.uk, lags(4)

Phillips-Perron test for unit root                 Number of obs   =       161
                                                   Newey-West lags =         4

                               ---------- Interpolated Dickey-Fuller ---------
                  Test         1% Critical       5% Critical      10% Critical
               Statistic           Value             Value             Value
------------------------------------------------------------------------------
 Z(rho)         -125.017           -20.003           -13.822           -11.081
 Z(t)             -9.740            -3.490            -2.886            -2.576
------------------------------------------------------------------------------
MacKinnon approximate p-value for Z(t) = 0.0000

. 
. pperron usa, lags(4)

Phillips-Perron test for unit root                 Number of obs   =       162
                                                   Newey-West lags =         4

                               ---------- Interpolated Dickey-Fuller ---------
                  Test         1% Critical       5% Critical      10% Critical
               Statistic           Value             Value             Value
------------------------------------------------------------------------------
 Z(rho)           -0.497           -20.007           -13.824           -11.083
 Z(t)             -1.216            -3.489            -2.886            -2.576
------------------------------------------------------------------------------
MacKinnon approximate p-value for Z(t) = 0.6667

. 
. pperron D.usa, lags(4)

Phillips-Perron test for unit root                 Number of obs   =       161
                                                   Newey-West lags =         4

                               ---------- Interpolated Dickey-Fuller ---------
                  Test         1% Critical       5% Critical      10% Critical
               Statistic           Value             Value             Value
------------------------------------------------------------------------------
 Z(rho)         -105.449           -20.003           -13.822           -11.081
 Z(t)             -8.514            -3.490            -2.886            -2.576
------------------------------------------------------------------------------
MacKinnon approximate p-value for Z(t) = 0.0000

. 
. pperron china, lags(4)

Phillips-Perron test for unit root                 Number of obs   =       162
                                                   Newey-West lags =         4

                               ---------- Interpolated Dickey-Fuller ---------
                  Test         1% Critical       5% Critical      10% Critical
               Statistic           Value             Value             Value
------------------------------------------------------------------------------
 Z(rho)           -0.122           -20.007           -13.824           -11.083
 Z(t)             -0.653            -3.489            -2.886            -2.576
------------------------------------------------------------------------------
MacKinnon approximate p-value for Z(t) = 0.8584

. 
. pperron D.china, lags(4)

Phillips-Perron test for unit root                 Number of obs   =       161
                                                   Newey-West lags =         4

                               ---------- Interpolated Dickey-Fuller ---------
                  Test         1% Critical       5% Critical      10% Critical
               Statistic           Value             Value             Value
------------------------------------------------------------------------------
 Z(rho)         -128.398           -20.003           -13.822           -11.081
 Z(t)             -9.494            -3.490            -2.886            -2.576
------------------------------------------------------------------------------
MacKinnon approximate p-value for Z(t) = 0.0000

Dynamic Factor Model: Panel A of Table 4

. dfactor (D.( can france germ italy japan uk usa) = D.china , noconstant) (f = chntsc L1.chntsc L2.chntsc chnf
> sc L1.chnfsc L2.chnfsc, ar(1/1))
note: attempting to estimate 28 parameters using 161 observations
searching for initial values ...........
(setting technique to bhhh)
Iteration 0:   log likelihood =  3911.8149  
Iteration 1:   log likelihood =   3932.938  
Iteration 2:   log likelihood =   3977.017  
Iteration 3:   log likelihood =  4058.7268  
Iteration 4:   log likelihood =  4097.0101  
(switching technique to nr)
Iteration 5:   log likelihood =  4122.0671  
Iteration 6:   log likelihood =  4135.8342  
Iteration 7:   log likelihood =   4137.802  
Iteration 8:   log likelihood =  4137.8321  
Iteration 9:   log likelihood =  4137.8321  
Refining estimates:
Iteration 0:   log likelihood =  4137.8321  
Iteration 1:   log likelihood =  4137.8321  

Dynamic-factor model

Sample: 1979q4 - 2019q4                         Number of obs     =        161
                                                Wald chi2(21)     =     620.99
Log likelihood =  4137.8321                     Prob > chi2       =     0.0000
--------------------------------------------------------------------------------
               |                 OIM
               |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
---------------+----------------------------------------------------------------
f              |
             f |
           L1. |   .7598334   .0653321    11.63   0.000     .6317849    .8878819
               |
        chntsc |
           --. |    1.09269   .8895262     1.23   0.219    -.6507495    2.836129
           L1. |  -1.445693   1.302885    -1.11   0.267    -3.999299    1.107914
           L2. |   .9107207   .8505887     1.07   0.284    -.7564025    2.577844
               |
        chnfsc |
           --. |  -.0836788   1.093865    -0.08   0.939    -2.227615    2.060257
           L1. |   1.430526   1.592019     0.90   0.369    -1.689773    4.550825
           L2. |  -1.904159   1.033777    -1.84   0.065    -3.930325    .1220071
---------------+----------------------------------------------------------------
D.can          |
             f |   .0027602   .0003929     7.03   0.000     .0019902    .0035302
               |
         china |
           D1. |   .1799994    .030097     5.98   0.000     .1210104    .2389885
---------------+----------------------------------------------------------------
D.france       |
             f |   .0026213   .0003119     8.40   0.000       .00201    .0032327
               |
         china |
           D1. |   .0974084   .0240512     4.05   0.000     .0502688    .1445479
---------------+----------------------------------------------------------------
D.germ         |
             f |   .0033294   .0005412     6.15   0.000     .0022687    .0043901
               |
         china |
           D1. |   .1019637   .0356261     2.86   0.004     .0321378    .1717897
---------------+----------------------------------------------------------------
D.italy        |
             f |   .0032287   .0004023     8.03   0.000     .0024402    .0040172
               |
         china |
           D1. |   .0641899   .0300793     2.13   0.033     .0052356    .1231443
---------------+----------------------------------------------------------------
D.japan        |
             f |   .0029076   .0005578     5.21   0.000     .0018144    .0040008
               |
         china |
           D1. |   .1203859   .0361574     3.33   0.001     .0495187    .1912531
---------------+----------------------------------------------------------------
D.uk           |
             f |   .0027831   .0003747     7.43   0.000     .0020487    .0035175
               |
         china |
           D1. |   .1427325   .0291415     4.90   0.000     .0856163    .1998487
---------------+----------------------------------------------------------------
D.usa          |
             f |   .0028221   .0003848     7.33   0.000     .0020679    .0035763
               |
         china |
           D1. |   .1843024   .0299105     6.16   0.000     .1256788    .2429259
---------------+----------------------------------------------------------------
    var(De.can)|   .0000351   4.47e-06     7.85   0.000     .0000263    .0000439
 var(De.france)|    .000011   1.69e-06     6.53   0.000     7.72e-06    .0000143
   var(De.germ)|   .0000527   6.50e-06     8.11   0.000     .0000399    .0000654
  var(De.italy)|   .0000217   3.05e-06     7.11   0.000     .0000157    .0000277
  var(De.japan)|   .0000738   8.65e-06     8.54   0.000     .0000569    .0000908
     var(De.uk)|   .0000303   3.76e-06     8.06   0.000      .000023    .0000377
    var(De.usa)|   .0000316   4.08e-06     7.73   0.000     .0000236    .0000396
--------------------------------------------------------------------------------
Note: Tests of variances against zero are one sided, and the two-sided
      confidence intervals are truncated at zero.

Dynamic Factor Model: Panel B of Table 4

. dfactor (D.( can france germ italy japan uk usa china) = , noconstant) (f = chntsc L1.chntsc L2.chntsc chnfsc
>  L1.chnfsc L2.chnfsc, ar(1/1))
note: attempting to estimate 23 parameters using 161 observations
searching for initial values ..........
(setting technique to bhhh)
Iteration 0:   log likelihood =  4221.3589  
Iteration 1:   log likelihood =  4241.9782  
Iteration 2:   log likelihood =  4283.4259  
Iteration 3:   log likelihood =   4349.551  
Iteration 4:   log likelihood =  4454.9098  
(switching technique to nr)
Iteration 5:   log likelihood =   4505.221  (not concave)
Iteration 6:   log likelihood =  4541.4442  
Iteration 7:   log likelihood =  4544.7173  
Iteration 8:   log likelihood =  4545.0153  
Iteration 9:   log likelihood =  4545.0156  
Refining estimates:
Iteration 0:   log likelihood =  4545.0156  
Iteration 1:   log likelihood =  4545.0156  

Dynamic-factor model

Sample: 1979q4 - 2019q4                         Number of obs     =        161
                                                Wald chi2(15)     =    1215.82
Log likelihood =  4545.0156                     Prob > chi2       =     0.0000
--------------------------------------------------------------------------------
               |                 OIM
               |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
---------------+----------------------------------------------------------------
f              |
             f |
           L1. |   .9125393   .0343606    26.56   0.000     .8451937    .9798849
               |
        chntsc |
           --. |   .1061945   .9464454     0.11   0.911    -1.748804    1.961193
           L1. |  -.1445778   1.438889    -0.10   0.920    -2.964749    2.675593
           L2. |   .4668206   .9231968     0.51   0.613    -1.342612    2.276253
               |
        chnfsc |
           --. |   .6403631   1.182701     0.54   0.588    -1.677687    2.958414
           L1. |   .7614117   1.770501     0.43   0.667    -2.708707     4.23153
           L2. |   -1.88527   1.111647    -1.70   0.090    -4.064058    .2935186
---------------+----------------------------------------------------------------
D.can          |
             f |   .0029272   .0003319     8.82   0.000     .0022768    .0035776
---------------+----------------------------------------------------------------
D.france       |
             f |   .0019662   .0002308     8.52   0.000     .0015137    .0024186
---------------+----------------------------------------------------------------
D.germ         |
             f |    .002259   .0003468     6.51   0.000     .0015793    .0029388
---------------+----------------------------------------------------------------
D.italy        |
             f |   .0018968   .0002682     7.07   0.000      .001371    .0024225
---------------+----------------------------------------------------------------
D.japan        |
             f |   .0022062   .0003642     6.06   0.000     .0014923      .00292
---------------+----------------------------------------------------------------
D.uk           |
             f |   .0025166   .0002973     8.46   0.000     .0019339    .0030993
---------------+----------------------------------------------------------------
D.usa          |
             f |   .0030019    .000333     9.01   0.000     .0023492    .0036546
---------------+----------------------------------------------------------------
D.china        |
             f |   .0079524    .000854     9.31   0.000     .0062785    .0096263
---------------+----------------------------------------------------------------
    var(De.can)|     .00003   3.88e-06     7.74   0.000     .0000224    .0000376
 var(De.france)|   .0000146   1.88e-06     7.74   0.000     .0000109    .0000183
   var(De.germ)|    .000061   7.10e-06     8.60   0.000     .0000471    .0000749
  var(De.italy)|   .0000312   3.74e-06     8.34   0.000     .0000239    .0000386
  var(De.japan)|   .0000802   9.20e-06     8.71   0.000     .0000621    .0000982
     var(De.uk)|   .0000301   3.68e-06     8.20   0.000     .0000229    .0000374
    var(De.usa)|    .000026   3.41e-06     7.61   0.000     .0000193    .0000327
  var(De.china)|   .0002473   .0000336     7.37   0.000     .0001815    .0003131
--------------------------------------------------------------------------------
Note: Tests of variances against zero are one sided, and the two-sided
      confidence intervals are truncated at zero.

Dynamic Factor Model of Appendix 5: Based on the Same command for dynamic factor model of Panel A of Table 4, but with 1979Q2-1999Q4 data span

. dfactor (D.( can france germ italy japan uk usa) = D.china , noconstant) (f = chntsc L1.chntsc L2.chntsc chnf
> sc L1.chnfsc L2.chnfsc, ar(1/1))
note: attempting to estimate 28 parameters using 81 observations
searching for initial values ..........
(setting technique to bhhh)
Iteration 0:   log likelihood =  1921.4224  
Iteration 1:   log likelihood =   1932.022  
Iteration 2:   log likelihood =  1954.1184  
Iteration 3:   log likelihood =  1994.2258  
Iteration 4:   log likelihood =  1996.4676  
(switching technique to nr)
Iteration 5:   log likelihood =  2000.6725  (not concave)
Iteration 6:   log likelihood =  2024.6091  
Iteration 7:   log likelihood =  2028.5965  
Iteration 8:   log likelihood =  2029.9938  
Iteration 9:   log likelihood =  2030.9347  
Iteration 10:  log likelihood =  2030.9818  
Iteration 11:  log likelihood =  2030.9822  
Iteration 12:  log likelihood =  2030.9822  
Refining estimates:
Iteration 0:   log likelihood =  2030.9822  
Iteration 1:   log likelihood =  2030.9822  

Dynamic-factor model

Sample: 1979q4 - 1999q4                         Number of obs     =         81
                                                Wald chi2(21)     =    1005.80
Log likelihood =  2030.9822                     Prob > chi2       =     0.0000
--------------------------------------------------------------------------------
               |                 OIM
               |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
---------------+----------------------------------------------------------------
f              |
             f |
           L1. |   .9399418   .0439477    21.39   0.000     .8538059    1.026078
               |
        chntsc |
           --. |   .0440251   1.314484     0.03   0.973    -2.532316    2.620366
           L1. |   1.638487   2.154426     0.76   0.447    -2.584111    5.861085
           L2. |  -1.218198   1.319354    -0.92   0.356    -3.804085    1.367689
               |
        chnfsc |
           --. |    5.26504   4.020414     1.31   0.190    -2.614826    13.14491
           L1. |   3.851555   2.971503     1.30   0.195    -1.972483    9.675593
           L2. |  -5.050672   1.777073    -2.84   0.004    -8.533671   -1.567674
---------------+----------------------------------------------------------------
D.can          |
             f |    .002587   .0006294     4.11   0.000     .0013534    .0038205
               |
         china |
           D1. |   .0107912   .0634434     0.17   0.865    -.1135556    .1351381
---------------+----------------------------------------------------------------
D.france       |
             f |    .001931   .0003898     4.95   0.000     .0011671    .0026949
               |
         china |
           D1. |  -.0313952   .0434866    -0.72   0.470    -.1166275     .053837
---------------+----------------------------------------------------------------
D.germ         |
             f |   .0020151    .000621     3.24   0.001     .0007979    .0032322
               |
         china |
           D1. |  -.0290843    .068588    -0.42   0.672    -.1635144    .1053458
---------------+----------------------------------------------------------------
D.italy        |
             f |   .0020566    .000461     4.46   0.000     .0011531    .0029601
               |
         china |
           D1. |  -.0226688    .049022    -0.46   0.644    -.1187501    .0734125
---------------+----------------------------------------------------------------
D.japan        |
             f |    .000995   .0005501     1.81   0.071    -.0000833    .0020732
               |
         china |
           D1. |   .1231067   .0646051     1.91   0.057     -.003517    .2497305
---------------+----------------------------------------------------------------
D.uk           |
             f |   .0019557   .0004614     4.24   0.000     .0010514    .0028599
               |
         china |
           D1. |   .0360587   .0513425     0.70   0.482    -.0645708    .1366883
---------------+----------------------------------------------------------------
D.usa          |
             f |   .0023902   .0005939     4.02   0.000      .001226    .0035543
               |
         china |
           D1. |   .0663549   .0588233     1.13   0.259    -.0489368    .1816465
---------------+----------------------------------------------------------------
    var(De.can)|    .000046   9.07e-06     5.07   0.000     .0000282    .0000638
 var(De.france)|   .0000154   3.34e-06     4.62   0.000     8.89e-06     .000022
   var(De.germ)|    .000077   .0000126     6.11   0.000     .0000523    .0001018
  var(De.italy)|   .0000283   5.09e-06     5.55   0.000     .0000183    .0000382
  var(De.japan)|    .000079   .0000126     6.27   0.000     .0000543    .0001037
     var(De.uk)|   .0000339   5.99e-06     5.66   0.000     .0000222    .0000456
    var(De.usa)|   .0000393   7.62e-06     5.16   0.000     .0000244    .0000542
--------------------------------------------------------------------------------
Note: Tests of variances against zero are one sided, and the two-sided
      confidence intervals are truncated at zero.

Dynamic Factor Model of Appendix 6: Based on China, U.S. and Seven Non-G7 Countries

. dfactor (D.(china india indns kor mal phlp sing thai usa) = , noconstant) (f = chntsc L1.chntsc L2.chntsc chn
> fsc L1.chnfsc L2.chnfsc, ar(1/1))
note: attempting to estimate 25 parameters using 161 observations
searching for initial values ...........
(setting technique to bhhh)
Iteration 0:   log likelihood =  3874.9988  
Iteration 1:   log likelihood =  3943.8853  
Iteration 2:   log likelihood =  4024.1053  
Iteration 3:   log likelihood =  4049.6368  
Iteration 4:   log likelihood =  4054.5342  
(switching technique to nr)
Iteration 5:   log likelihood =  4066.2793  
Iteration 6:   log likelihood =  4072.5615  
Iteration 7:   log likelihood =  4078.9683  
Iteration 8:   log likelihood =  4086.9598  
Iteration 9:   log likelihood =  4088.8207  
Iteration 10:  log likelihood =  4088.8683  
Iteration 11:  log likelihood =  4088.8683  
Refining estimates:
Iteration 0:   log likelihood =  4088.8683  
Iteration 1:   log likelihood =  4088.8683  

Dynamic-factor model

Sample: 1979q4 - 2019q4                         Number of obs     =        161
                                                Wald chi2(16)     =    2468.74
Log likelihood =  4088.8683                     Prob > chi2       =     0.0000
-------------------------------------------------------------------------------
              |                 OIM
              |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
--------------+----------------------------------------------------------------
f             |
            f |
          L1. |   .9603798   .0250891    38.28   0.000     .9112061    1.009554
              |
       chntsc |
          --. |   -1.44975   1.177056    -1.23   0.218    -3.756737    .8572381
          L1. |   2.282249   1.851412     1.23   0.218    -1.346452     5.91095
          L2. |  -.7173641    1.11058    -0.65   0.518    -2.894061    1.459333
              |
       chnfsc |
          --. |   2.381611   1.462922     1.63   0.104    -.4856641    5.248886
          L1. |  -2.860506   2.265221    -1.26   0.207    -7.300258    1.579246
          L2. |    .441282    1.32129     0.33   0.738    -2.148399    3.030963
--------------+----------------------------------------------------------------
D.china       |
            f |    .006376   .0009586     6.65   0.000     .0044972    .0082548
--------------+----------------------------------------------------------------
D.india       |
            f |   .0045259   .0008008     5.65   0.000     .0029563    .0060954
--------------+----------------------------------------------------------------
D.indns       |
            f |    .003865   .0007653     5.05   0.000     .0023651    .0053649
--------------+----------------------------------------------------------------
D.kor         |
            f |    .004202   .0007675     5.47   0.000     .0026977    .0057064
--------------+----------------------------------------------------------------
D.mal         |
            f |   .0043746   .0007987     5.48   0.000     .0028092    .0059399
--------------+----------------------------------------------------------------
D.phlp        |
            f |   .0025761   .0005238     4.92   0.000     .0015496    .0036026
--------------+----------------------------------------------------------------
D.sing        |
            f |   .0046642   .0008618     5.41   0.000     .0029751    .0063532
--------------+----------------------------------------------------------------
D.thai        |
            f |    .003948   .0007912     4.99   0.000     .0023974    .0054986
--------------+----------------------------------------------------------------
D.usa         |
            f |   .0018376   .0003215     5.72   0.000     .0012074    .0024678
--------------+----------------------------------------------------------------
 var(De.china)|   .0001328    .000023     5.78   0.000     .0000877    .0001778
 var(De.india)|   .0003004   .0000346     8.69   0.000     .0002327    .0003681
 var(De.indns)|   .0003336   .0000385     8.66   0.000     .0002581    .0004091
   var(De.kor)|   .0002007   .0000244     8.23   0.000     .0001528    .0002485
   var(De.mal)|   .0001473   .0000203     7.25   0.000     .0001075    .0001872
  var(De.phlp)|   .0002068   .0000236     8.77   0.000     .0001606    .0002531
  var(De.sing)|   .0002361   .0000293     8.05   0.000     .0001786    .0002935
  var(De.thai)|   .0003614   .0000418     8.64   0.000     .0002794    .0004434
   var(De.usa)|   .0000414   4.91e-06     8.43   0.000     .0000318     .000051
-------------------------------------------------------------------------------
Note: Tests of variances against zero are one sided, and the two-sided
      confidence intervals are truncated at zero.


---------------------------------------------------------------------------------------------------------------
